总投资和未来收益率的长期关系及影响机制——基于贝叶斯估计方法的实证分析

发布时间：2018-06-07 22:46

本文选题：总投资 + 未来收益率　；参考：《经济理论与经济管理》2017年07期

【摘要】：本文利用2000—2015年中国上市公司季度数据,采用贝叶斯估计方法实证研究总投资和未来收益率间的长期关系,并从投资者情绪视角探究了二者间的微观影响机制。实证结果显示:第一,短期内总投资的不断增加导致了未来收益率的下降,并且这种负向作用长期内显著增加;第二,在总投资能预期到现金流冲击的情况下,投资者情绪因素解释了总投资与未来收益率间的负向效应问题。
[Abstract]:Based on the quarterly data of Chinese listed companies from 2000 to 2015, this paper empirically studies the long-term relationship between total investment and future return by using Bayesian estimation method, and probes into the microcosmic influence mechanism between them from the perspective of investor sentiment. The empirical results show that: first, the continuous increase of total investment in the short term leads to the decline of future returns, and this negative effect increases significantly in the long run; second, when the total investment can anticipate the impact of cash flow, Investor sentiment factors explain the negative effect between total investment and future yield.
【作者单位】：武汉大学经济与管理学院;
【基金】：国家社会科学基金重大项目(15ZDA061)的资助
【分类号】：F275;F832.51

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